1 - The contract is cash settled; notional principles and notional coupons do not actually occur.

2 - The maturity of a € Swapnote® futures contract is defined as the time from the delivery month to the maturity of the last notional cash flow.

Trading Platform:

• LIFFE CONNECT® Fuures and Options Trading Host
• Algorithm: Central order book applies a price/time priority trading algorithm.
• Wholesale Services: Asset Allocation, Block Trading, Basis Trading

Exchange Delivery Settlement Price (EDSP):
The EDSP is the present value, as of the delivery day, of the notional principal amount and the notional coupons. The discounting of the cash flows is performed using a swap curve which is constructed, on the last trading day, from the ISDA® Benchmark Euribor Swap Rate fixings. The ISDA® Benchmark Euribor Swap Rate fixings are compiled daily at 11:00 Brussels time and displayed on the Reuters page "ISDAFIX2". Where the EDSP is not an exact multiple of 0.005, it will be rounded to the nearest 0.005, or where the EDSP is an exact uneven multiple of 0.0025, to the nearest higher 0.005 (e.g. an EDSP of 101.7275 becomes 101.73).

Contract Standard:
Cash settlement based on the Exchange Delivery Settlement Price.

Notional Series Of Cash Flows:
The underlying notional cash flows consist of a series of fixed notional coupons and a notional principal at maturity, the dates of which fall on anniversaries of the delivery day. Should an anniversary of a delivery day fall on a non-working day, the notional cash flow date will be the next working day, following the modified business day convention.

The notional principal amount always falls on the second anniversary of the contract delivery day (or, first working day thereafter), giving each delivery month the price sensitivity of a two-year swap or, equivalently, a two-year bond priced off and correlated with the swap curve.

Unless otherwise indicated, all times are London times.